Preheat oven to 375oF. To make scampi sauce: In sauce over low flame melt butter, adding oil, salt, pepper, rosemary, oregeno, paprika, bay leaves, garlic and sherry. Place cleaned shrimp in large baking dish. Cover shrimp with feta cheese and top with breadcrumbs. Pour scampi sauce over shrimp and bake until shrimp are tender, approximately 25 minutes. Serve over rice or angel hair pasta.